Hi Chris,
yes, that is possible with some “Custom CSS” code.
Unfortunately, I don’t have the time right now to find the exact code that is necessary, but hopefully the following hints will help. And maybe someone else can help with full code?
In the table in your link, this is done by adding a background image to the table header cells. The image has the round corners.
A starting point on how to set backgrounds could be the FAQ page on my website (https://tobias.baethge.com/wordpress-plugins/wp-table-reloaded-english/faq/), which has an example on how to change the background color. Using a background image works similar, and I suggest that you look for a CSS tutorial, as that will explain how to do it much better than I can.
Now, a more “modern” way would be to use the CSS border properties that CSS3 brings and that already work in most modern webbrowsers. Unfortunately, I don’t have an example for that yet, but Google might find one. As I feel that this is a better way, I suggest that you try that.
Best wishes,
Tobias